You're going to have to decide whether you want to use a web server / HTTP approach or an old-school telnet-style approach on the Arduino. There are plenty of examples for the web server case (and in fact Zoomkat will be here any second to share some solid working HTTP code.)
It might be worth taking a look at the BitlashWebServer example that ships with Bitlash (http://bitlash.net). It's a sketch that exposes Bitlash scripting as a web service from the Arduino over Ethernet. It also has a telnet server so you can just send commands, as opposed to commands wrapped in HTTP GET requests.
For your project you could just send "d13=1" to turn on the LED on pin 13, and "d13=0" to turn it off.
Bitlash here: http://bitlash.net and you can browse the web server/telnet sketch code that ships in the distribution here: bitlash/BitlashWebServer.ino at master · billroy/bitlash · GitHub
Good luck with your project,
-br
Edit: D13 is not going to work for an LED because it is used by the Ethernet shield. Discovered this while creating a new built-in script for the BitlashWebServer. But now you can open a browser on the server ip-address/toggle5 and it will turn pin 5 on and off.